Ch 2.

8: The Existence and Uniqueness

Theorem
The purpose of this section is to prove Theorem 2.4.2, the
fundamental existence and uniqueness theorem for rst
order initial value problems. This theorem states that
under certain conditions on f(t, y), the initial value problem
y ' = f (t , y ), y (t0 ) = y0
has a unique solution in some interval containing .
t0
First, we note that it is su cient to consider the problem
in which the point (t0 , y0 ) is the origin. If some other initial
point is given, we can always make a preliminary change
of variables, corresponding to a translation of the
coordinate axes, that will take the given point into the
origin.
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 Theorem 2.8.1

If f and ∂f / ∂yare continuous in a rectangle R: |t| ≤ a, |y| ≤

b, then there is some interval |t| ≤ h ≤ a in which there
exists a unique solution y = φ (t ) of the initial value problem

y ' = f (t , y ), y (0) = 0

We will begin the proof by transforming the di erential

equation into an integral equation. If we suppose that
there is a di erentiable function y = φ (t ) that satis es the
initial value problem, then f [t , φ (t )] is a continuous function
of t only. Hence we can integrate y ' = f (t , y ) = f (t , φ (t ))
from the initial value t = 0 to an arbitrary value t, obtaining
t
φ (t ) = ∫ f [ s, φ ( s )] ds
0
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 Proving the Theorem for the Integral
Equation
It is more convenient to show that there is a unique solution to
the integral equation in a certain interval |t| ≤ h than to show that
there is a unique solution to the corresponding di erential
equation. The integral equation also satis es the initial condition.
t
φ (t ) = ∫ f [ s, φ ( s )] ds ⇒ φ (0) = 0 (s is a dummy variable)
0

The same conclusion will then hold for the initial value problem

y ' = f (t , y ), y (0) = 0
as holds for the integral equation.
t
φ (t ) = ∫ f [ s, φ ( s )] ds
0
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The Method of Successive Approximations
One method of showing that the integral equation has a unique
solution is known as the method of successive approximations or
Picard’s iteration method. We begin by choosing an initial function
that in some way approximates the solution. The simplest choice
utilizes the initial condition
φ0 (t ) = 0
The next approximation φis 1 obtained by substituting φ0 ( sfor
) φ (s)
into the right side of the integral equation. Thus
t t
φ1 (t ) = ∫ f [ s, φ0 ( s )] ds = ∫ f [ s, 0] ds
0 0

t
Similarly, φ2 (t ) = ∫ f [ s, φ1 ( s )] ds
0
t
And in general,
φn +1 (t ) = ∫ f [ s, φn ( s )] ds
0
 Examining the Sequence
As described on the previous slide, we can generate the sequence

{φn } = φ0 , φ1 , φ2 ,..., φn ,...

with
t
φ0 (t ) = 0 and φn +1 (t ) = ∫ f [ s, φn ( s )] ds
0

Each member of the sequence satis ed the initial condition, but in general none
satis es the di erential equation. However, if for some n = k, we nd
φk +1 (t ) = φk (t ) , then φk (t ) is a solution of the integral equation and hence of the
initial value problem, and the sequence is terminated.
In general, the sequence does not terminate, so we must consider the entire
in nite sequence. Then to prove the theorem, we answer four principal
questions.
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 Four Principal Questions about the
Sequence φ (t ) = ∫ f [s,φ (s)] ds
t

n +1 n
0

1. Do all members of the sequence {φn } exist, or may

the process break down at some stage?
2. Does the sequence converge?
3. What are the properties of the limit function? In
particular, does it satisfy the integral equation and
hence the corresponding initial value problem?
4. Is this the only solution or may there be others?

6. To gain insight into how these questions can be

answered, we will begin by considering a
relatively simple example.
 Example 1: An Initial Value Problem (1 of 6)
We will use successive approximations to solve the initial
value problem
y ' = 2t (1 + y ), y (0) = 0

Note rst that the corresponding integral equation becomes

t
φ (t ) = ∫ 2 s[1 + φ ( s )] ds
0

The initial approximation φ0 (t ) = 0generates the following:

t t
φ1 (t ) = ∫ 2 s [1 + 0] ds = ∫ 2 s ds = t 2
0 0
t t
φ2 (t ) = ∫ 2 s [1 + s 2 ] ds = ∫ (2 s + 2 s 3 ] ds = t 2 + t 4 /2
0 0
t t
φ3 (t ) = ∫ 2 s [1 + s 2 + s 4 /2 ] ds = ∫ (2 s + 2 s 3 + s 5 ] ds = t 2 + t 4 /2 + t 6 / 6
0 0
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 Example 1: An Inductive Proof (2 of 6)

The evolving sequence suggests that

2 4 6 8 2n
φn (t ) = t + t /2! + t /3! + t /4! + !+ t / n!
This can be proved true for all n ≥ 1 by mathematical induction. It was already
established for n =1 and if we assume it is true for n = k, we can prove it true for n =
k+1:
t
φk +1 (t ) = ∫ 2 s [1 + φk ( s )] ds
0
t 4 2k
2 s s
= ∫ 2 s [1 + s + + !+ ] ds
0
2! k!
4 2k 2 ( k +1)
t 2 t t
= t + + !+ +
2! k! (k + 1)!
Thus, the inductive proof is complete.
Example 1: The Limit of the Sequence (3 of 6)
φn (t ) = t 2 + t 4/2! + t 6/3! + t 8/4! + !+ t 2 n/ n!

A plot of the rst ve iterates suggests eventual

convergence to a limit function:
H
L
f t
5
φ5 (t )
4 φ2 (t )
3

2
φ1 (t )
1

t
-2 -1 0 1 2

Taking the limit as n→∞ and recognizing the Taylor

series and the function to which it converges, we
have: n
t 2k ∞
t 2k
t2
lim φn (t ) = lim ∑ =∑ = e −1
n →∞ n →∞
k =1 k! k =1 k!
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 Example 1: The Solution (4 of 6)
t2
lim φn (t ) = e − 1
n →∞

Now that we have an expression for

n
t 2k ∞
t 2k t2
φ (t ) = lim φn (t ) = lim ∑ =∑ = e −1
k =1 k! k =1 k!
n →∞ n →∞

let us examine φ (t ) − φk (t ) for increasing values of k in order to get a sense

of the interval of convergence:
f t
2.0
H
L
←k=10
1.5

1.0
k=1→
← k=20
0.5

t
-3 -2 -1 1 2 3

The interval of convergence increases as k increases, so the terms of the

sequence provide a good approximation to the solution about an interval
containing t = 0.
 Example 1: The Solution Is Unique (5 of 6)
To deal with the question of uniqueness, suppose that the IVP has
two solutions φ (t ) and ψ (t ) . Both functions must satisfy the integral
equation. We will show that their di erence is zero:
t t
φ (t ) −ψ (t ) = ∫ 2s[1 + φ ( s)] ds − ∫ 2s[1 +ψ ( s)] ds
0 0
t t
= ∫ 2s[φ ( s) −ψ ( s)] ds ≤ ∫ 2s φ ( s) −ψ ( s) ds
0 0
t
≤ A∫ φ ( s ) −ψ ( s ) ds
0

For the last inequality, we restrict t to 0 ≤ t ≤ A/2, where A is

arbitrary, then 2t ≤ A.
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 Example 1: The Solution Is Unique (6 of 6)
It is now convenient to de ne a function U such that

t
U (t ) = ∫ φ ( s ) −ψ ( s ) ds
0

Notice that U(0) = 0 and U(t) ≥ 0 for t ≥ 0 and U(t) is di erentiable with

U ' (t ) = φ (t ) −ψ (t )
This gives:
U ' (t ) − AU (t ) ≤ 0 and multiplying by e -At
-At -At
(e U (t ))' ≤ 0 ⇒ e U (t ) ≤ 0 ⇒ U (t ) ≤ 0 for t ≥ 0

The only way for the function U(t) to be both greater than and less than zero is for it
to be identically zero. A similar argument applies in the case where t ≤ 0. Thus we
can conclude that our solution is unique.
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Theorem 2.8.1: The First Step in the Proof
y ' = f (t , y ), y (0) = 0
t
φn +1 (t ) = ∫ f [ s, φn ( s )] ds
0

Returning to the general problem, do all members of the sequence

exist? In the general case, the continuity of f and its partial with
respect to y were assumed only in the rectangle R: |t| ≤ a, |y| ≤ b.
Furthermore, the members of the sequence cannot usually be
explicitly determined.
A theorem from calculus states that a function continuous in a
closed region is bounded there, so there is some positive number M
such that |f(t,y) |≤ M for (t, y) in R.
Since
φn (0) = 0 and φn ' (t ) = f (t , φn (t )) ≤ M
the maximum slope for any function in the sequence is M. The
graphs on page 117 of the text indicate how this may impact the
interval over which the solution is de ned.
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Theorem 2.8.1: The Second Step in the Proof

The terms in the sequence {φn } can be written in the form

φn (t ) = φ1 (t ) + [φ2 (t ) − φ1 (t )] + [φ3 (t ) − φ2 (t )] + !+ [φn (t ) − φn −1 (t )]

∞
and lim φn (t ) = φ1 (t ) + ∑ [φk +1 (t ) − φk (t )]
n →∞
k =1

The convergence of this sequence depends on being

able to bound the value of φk +1 (t ) − φk (t ) . This can be
established based on the fact that ∂f / ∂y is continuous
over a closed region and hence bounded there. Problems
15 through 18 in the text lead you through this validation.
 Theorem 2.8.1: The Third Step in the Proof

There are details in this proof that are beyond the

scope of the text. If we assume uniform convergence
of our sequence over some interval |t| ≤ h ≤ a and the
continuity of f and its rst partial derivative with
respect to y for |t| ≤ h ≤ a , the following steps can be
justi ed:
t
φ (t ) = lim φn +1 (t ) = lim ∫ f [ s, φn ( s )] ds
n →∞ n →∞
0
t t
= ∫ lim f [ s, φn ( s )] ds = ∫ f [ s, lim φn ( s )] ds
n →∞ n →∞
0 0
t
= ∫ f [ s, φ ( s )] ds
0
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 Theorem 2.8.1: The Fourth Step in the Proof

The steps outlined establish the fact that the function φ (t )

is a solution to the integral equation and hence to the initial value problem. To
establish its uniqueness, we would follow the steps outlined in Example 1.
We conjecture that the IVP has two solutions:
φ (t ) and ψ (t )
Both functions have to satisfy the integral equation and we show that their
di erence is zero using the inequality:
t
φ (t ) −ψ (t ) ≤ A∫ φ ( s ) −ψ ( s ) ds
0

If the assumptions of this theorem are not satis ed, you cannot be guaranteed
a unique solution to the IVP. There may be no solution or there may be more
than one solution.
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